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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This is an archived track record. This track record was archived on 7/14/21 15:34 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Schulenberg EMini IRA
(125126678)

Created by: CraigSchulenberg CraigSchulenberg
Started: 08/2019
Stocks
Last trade: 1,014 days ago
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $200.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

21.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(19.2%)
Max Drawdown
314
Num Trades
47.5%
Win Trades
1.6 : 1
Profit Factor
22.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +0.7%(0.9%)  -  (0.5%)+1.8%+1.1%
2020(0.3%)(2.7%)(1.8%)(1.5%)(0.6%)+7.2%+7.8%+5.4%(2.1%)(1.9%)+8.2%(1.5%)+16.3%
2021+0.4%+3.2%+5.3%+2.0%+1.1%+5.4%+2.5%  -    -    -    -    -  +21.5%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 674 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/13/21 8:31 @MESU1 MICRO E-MINI S&P 500 LONG 46 4366.26 7/14 15:31 4366.50 1.24%
Trade id #136464756
Max drawdown($3,796)
Time7/14/21 2:09
Quant open46
Worst price4349.75
Drawdown as % of equity-1.24%
 $13
Includes Typical Broker Commissions trade costs of $43.24
7/11/21 18:00 @MESU1 MICRO E-MINI S&P 500 LONG 46 4362.67 7/12 15:34 4375.89 1.6%
Trade id #136416282
Max drawdown($4,812)
Time7/12/21 3:51
Quant open46
Worst price4341.75
Drawdown as % of equity-1.60%
 $2,996
Includes Typical Broker Commissions trade costs of $43.24
7/6/21 22:11 @MESU1 MICRO E-MINI S&P 500 LONG 46 4339.75 7/9 15:54 4361.50 2.61%
Trade id #136352831
Max drawdown($7,875)
Time7/8/21 0:00
Quant open30
Worst price4279.25
Drawdown as % of equity-2.61%
 $4,960
Includes Typical Broker Commissions trade costs of $43.24
7/1/21 21:58 @MESU1 MICRO E-MINI S&P 500 SHORT 30 4311.50 7/6 22:10 4332.00 1.76%
Trade id #136297788
Max drawdown($5,325)
Time7/2/21 0:00
Quant open30
Worst price4347.00
Drawdown as % of equity-1.76%
 ($3,103)
Includes Typical Broker Commissions trade costs of $28.20
6/30/21 21:20 @MESU1 MICRO E-MINI S&P 500 LONG 30 4297.75 7/1 21:57 4311.75 0.58%
Trade id #136276783
Max drawdown($1,762)
Time7/1/21 6:53
Quant open30
Worst price4286.00
Drawdown as % of equity-0.58%
 $2,072
Includes Typical Broker Commissions trade costs of $28.20
6/29/21 21:52 @MESU1 MICRO E-MINI S&P 500 SHORT 50 4285.90 6/30 21:18 4297.25 0.98%
Trade id #136259221
Max drawdown($2,962)
Time6/30/21 21:08
Quant open50
Worst price4297.75
Drawdown as % of equity-0.98%
 ($2,885)
Includes Typical Broker Commissions trade costs of $47.00
6/28/21 21:57 @MESU1 MICRO E-MINI S&P 500 LONG 30 4273.00 6/29 21:52 4286.57 0.07%
Trade id #136240937
Max drawdown($225)
Time6/29/21 0:00
Quant open30
Worst price4271.50
Drawdown as % of equity-0.07%
 $2,008
Includes Typical Broker Commissions trade costs of $28.20
6/27/21 18:00 @MESU1 MICRO E-MINI S&P 500 SHORT 30 4276.17 6/28 21:57 4273.25 0.29%
Trade id #136224051
Max drawdown($875)
Time6/28/21 15:52
Quant open30
Worst price4282.00
Drawdown as % of equity-0.29%
 $410
Includes Typical Broker Commissions trade costs of $28.20
6/20/21 18:00 @MESU1 MICRO E-MINI S&P 500 LONG 30 4179.50 6/27 18:00 4275.52 0.75%
Trade id #136132313
Max drawdown($2,150)
Time6/20/21 23:17
Quant open20
Worst price4126.50
Drawdown as % of equity-0.75%
 $14,375
Includes Typical Broker Commissions trade costs of $28.20
6/16/21 22:39 @MESU1 MICRO E-MINI S&P 500 SHORT 15 4194.75 6/20 18:00 4146.50 0.73%
Trade id #136087371
Max drawdown($2,062)
Time6/17/21 0:00
Quant open15
Worst price4222.25
Drawdown as % of equity-0.73%
 $3,605
Includes Typical Broker Commissions trade costs of $14.10
6/14/21 22:12 @MESU1 MICRO E-MINI S&P 500 LONG 20 4249.75 6/16 22:38 4194.51 2.34%
Trade id #136055191
Max drawdown($6,725)
Time6/16/21 20:24
Quant open20
Worst price4182.50
Drawdown as % of equity-2.34%
 ($5,543)
Includes Typical Broker Commissions trade costs of $18.80
6/14/21 10:25 @MESU1 MICRO E-MINI S&P 500 SHORT 15 4229.13 6/14 22:12 4249.75 0.65%
Trade id #136047184
Max drawdown($1,883)
Time6/14/21 21:18
Quant open15
Worst price4254.25
Drawdown as % of equity-0.65%
 ($1,560)
Includes Typical Broker Commissions trade costs of $14.10
6/13/21 18:01 @MESM1 MICRO E-MINI S&P 500 SHORT 15 4249.28 6/14 10:24 4238.25 0.19%
Trade id #136038954
Max drawdown($560)
Time6/14/21 3:16
Quant open15
Worst price4256.75
Drawdown as % of equity-0.19%
 $814
Includes Typical Broker Commissions trade costs of $14.10
6/9/21 21:58 @MESM1 MICRO E-MINI S&P 500 LONG 20 4224.00 6/13 18:00 4247.77 0.59%
Trade id #135994870
Max drawdown($1,700)
Time6/10/21 0:00
Quant open20
Worst price4207.00
Drawdown as % of equity-0.59%
 $2,359
Includes Typical Broker Commissions trade costs of $18.80
6/8/21 23:06 @MESM1 MICRO E-MINI S&P 500 SHORT 15 4227.25 6/9 21:57 4224.00 0.22%
Trade id #135973773
Max drawdown($618)
Time6/9/21 9:30
Quant open15
Worst price4235.50
Drawdown as % of equity-0.22%
 $230
Includes Typical Broker Commissions trade costs of $14.10
6/7/21 22:29 @MESM1 MICRO E-MINI S&P 500 LONG 20 4228.50 6/8 23:06 4227.25 0.78%
Trade id #135951051
Max drawdown($2,250)
Time6/8/21 0:00
Quant open20
Worst price4206.00
Drawdown as % of equity-0.78%
 ($144)
Includes Typical Broker Commissions trade costs of $18.80
6/6/21 18:05 @MESM1 MICRO E-MINI S&P 500 SHORT 15 4228.67 6/7 22:28 4228.50 0.16%
Trade id #135929996
Max drawdown($456)
Time6/7/21 21:14
Quant open15
Worst price4234.75
Drawdown as % of equity-0.16%
 ($1)
Includes Typical Broker Commissions trade costs of $14.10
5/24/21 22:13 @MESM1 MICRO E-MINI S&P 500 LONG 20 4201.25 6/6 18:02 4230.74 1.27%
Trade id #135757118
Max drawdown($3,625)
Time6/3/21 0:00
Quant open20
Worst price4165.00
Drawdown as % of equity-1.27%
 $2,930
Includes Typical Broker Commissions trade costs of $18.80
5/23/21 18:01 @MESM1 MICRO E-MINI S&P 500 SHORT 40 4173.75 5/24 22:13 4201.25 2.09%
Trade id #135737278
Max drawdown($5,950)
Time5/24/21 14:45
Quant open20
Worst price4206.25
Drawdown as % of equity-2.09%
 ($5,538)
Includes Typical Broker Commissions trade costs of $37.60
5/19/21 9:43 @MESM1 MICRO E-MINI S&P 500 LONG 20 4071.00 5/23 18:00 4148.75 0.54%
Trade id #135680099
Max drawdown($1,525)
Time5/19/21 10:15
Quant open20
Worst price4055.75
Drawdown as % of equity-0.54%
 $7,756
Includes Typical Broker Commissions trade costs of $18.80
3/2/21 10:54 SIG SIGNET JEWELERS LONG 330 52.81 5/19 9:39 60.13 0.55%
Trade id #134365808
Max drawdown($1,448)
Time3/5/21 0:00
Quant open330
Worst price48.42
Drawdown as % of equity-0.55%
 $2,407
Includes Typical Broker Commissions trade costs of $6.60
5/14/21 9:30 CNC CENTENE LONG 250 68.84 5/19 9:30 70.59 0.04%
Trade id #135618493
Max drawdown($105)
Time5/14/21 10:48
Quant open250
Worst price68.42
Drawdown as % of equity-0.04%
 $433
Includes Typical Broker Commissions trade costs of $5.00
4/22/21 9:30 AMZN AMAZON.COM LONG 6 3372.10 5/19 9:30 3195.82 0.52%
Trade id #135265753
Max drawdown($1,468)
Time5/11/21 0:00
Quant open6
Worst price3127.37
Drawdown as % of equity-0.52%
 ($1,058)
Includes Typical Broker Commissions trade costs of $0.12
5/17/21 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 5,800 9.71 5/18 9:38 9.71 0.08%
Trade id #135643952
Max drawdown($223)
Time5/17/21 9:40
Quant open5,800
Worst price9.67
Drawdown as % of equity-0.08%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
5/14/21 9:31 TSCO TRACTOR SUPPLY LONG 92 187.11 5/18 9:30 186.73 0.07%
Trade id #135618838
Max drawdown($198)
Time5/14/21 10:32
Quant open92
Worst price184.95
Drawdown as % of equity-0.07%
 ($37)
Includes Typical Broker Commissions trade costs of $1.84
5/14/21 9:31 EEFT EURONET WORLDWIDE LONG 121 142.71 5/18 9:30 144.16 0.06%
Trade id #135618686
Max drawdown($171)
Time5/14/21 9:44
Quant open121
Worst price141.29
Drawdown as % of equity-0.06%
 $173
Includes Typical Broker Commissions trade costs of $2.42
5/14/21 9:31 A AGILENT TECHNOLOGIES LONG 131 130.52 5/18 9:30 129.95 0.04%
Trade id #135618728
Max drawdown($119)
Time5/18/21 9:30
Quant open131
Worst price129.61
Drawdown as % of equity-0.04%
 ($78)
Includes Typical Broker Commissions trade costs of $2.62
5/14/21 9:31 VRSN VERISIGN LONG 78 219.18 5/18 9:30 219.63 0.03%
Trade id #135618878
Max drawdown($81)
Time5/17/21 0:00
Quant open78
Worst price218.13
Drawdown as % of equity-0.03%
 $33
Includes Typical Broker Commissions trade costs of $1.56
4/22/21 9:30 ADBE ADOBE INC LONG 30 507.56 5/18 9:30 484.63 0.41%
Trade id #135265763
Max drawdown($1,171)
Time5/11/21 0:00
Quant open30
Worst price468.50
Drawdown as % of equity-0.41%
 ($689)
Includes Typical Broker Commissions trade costs of $0.60
5/14/21 9:30 SSO PROSHARES ULTRA S&P 500 LONG 690 110.75 5/17 9:30 111.93 n/a $809
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    8/28/2019
  • Suggested Minimum Cap
    $211,775
  • Strategy Age (days)
    1697.03
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    314
  • # Profitable
    149
  • % Profitable
    47.50%
  • Avg trade duration
    20.1 days
  • Max peak-to-valley drawdown
    19.16%
  • drawdown period
    Feb 19, 2020 - March 13, 2020
  • Annual Return (Compounded)
    21.8%
  • Avg win
    $1,779
  • Avg loss
    $1,003
  • Model Account Values (Raw)
  • Cash
    $314,743
  • Margin Used
    $0
  • Buying Power
    $314,743
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    0.71
  • Calmar Ratio
    1.288
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.11%
  • Correlation to SP500
    0.13800
  • Return Percent SP500 (cumu) during strategy life
    75.47%
  • Return Statistics
  • Ann Return (w trading costs)
    21.8%
  • Slump
  • Current Slump as Pcnt Equity
    1.20%
  • Instruments
  • Percent Trades Futures
    0.07%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.60%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.217%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    867
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    741
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,003
  • Avg Win
    $1,779
  • Sum Trade PL (losers)
    $165,506.000
  • Age
  • Num Months filled monthly returns table
    57
  • Win / Loss
  • Sum Trade PL (winners)
    $265,072.000
  • # Winners
    149
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    3399
  • Win / Loss
  • # Losers
    165
  • % Winners
    47.5%
  • Frequency
  • Avg Position Time (mins)
    28889.40
  • Avg Position Time (hrs)
    481.49
  • Avg Trade Length
    20.1 days
  • Last Trade Ago
    1011
  • Leverage
  • Daily leverage (average)
    1.07
  • Daily leverage (max)
    3.53
  • Regression
  • Alpha
    0.02
  • Beta
    0.07
  • Treynor Index
    0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.05
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.727
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.809
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.701
  • Hold-and-Hope Ratio
    0.149
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18615
  • SD
    0.11938
  • Sharpe ratio (Glass type estimate)
    1.55935
  • Sharpe ratio (Hedges UMVUE)
    1.50287
  • df
    21.00000
  • t
    2.11136
  • p
    0.24159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02008
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67866
  • Upside Potential Ratio
    5.35741
  • Upside part of mean
    0.27110
  • Downside part of mean
    -0.08495
  • Upside SD
    0.11803
  • Downside SD
    0.05060
  • N nonnegative terms
    15.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.21416
  • Mean of criterion
    0.18615
  • SD of predictor
    0.17021
  • SD of criterion
    0.11938
  • Covariance
    0.00823
  • r
    0.40496
  • b (slope, estimate of beta)
    0.28402
  • a (intercept, estimate of alpha)
    0.12532
  • Mean Square Error
    0.01251
  • DF error
    20.00000
  • t(b)
    1.98070
  • p(b)
    0.29752
  • t(a)
    1.42206
  • p(a)
    0.34848
  • Lowerbound of 95% confidence interval for beta
    -0.01509
  • Upperbound of 95% confidence interval for beta
    0.58313
  • Lowerbound of 95% confidence interval for alpha
    -0.05851
  • Upperbound of 95% confidence interval for alpha
    0.30915
  • Treynor index (mean / b)
    0.65542
  • Jensen alpha (a)
    0.12532
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17775
  • SD
    0.11701
  • Sharpe ratio (Glass type estimate)
    1.51912
  • Sharpe ratio (Hedges UMVUE)
    1.46410
  • df
    21.00000
  • t
    2.05690
  • p
    0.24679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04963
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97784
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.45940
  • Upside Potential Ratio
    5.13424
  • Upside part of mean
    0.26381
  • Downside part of mean
    -0.08606
  • Upside SD
    0.11429
  • Downside SD
    0.05138
  • N nonnegative terms
    15.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.19798
  • Mean of criterion
    0.17775
  • SD of predictor
    0.17187
  • SD of criterion
    0.11701
  • Covariance
    0.00847
  • r
    0.42137
  • b (slope, estimate of beta)
    0.28687
  • a (intercept, estimate of alpha)
    0.12096
  • Mean Square Error
    0.01182
  • DF error
    20.00000
  • t(b)
    2.07790
  • p(b)
    0.28931
  • t(a)
    1.42589
  • p(a)
    0.34811
  • Lowerbound of 95% confidence interval for beta
    -0.00111
  • Upperbound of 95% confidence interval for beta
    0.57486
  • Lowerbound of 95% confidence interval for alpha
    -0.05599
  • Upperbound of 95% confidence interval for alpha
    0.29791
  • Treynor index (mean / b)
    0.61962
  • Jensen alpha (a)
    0.12096
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03993
  • Expected Shortfall on VaR
    0.05331
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01200
  • Expected Shortfall on VaR
    0.02544
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.95588
  • Quartile 1
    0.99191
  • Median
    1.01323
  • Quartile 3
    1.04013
  • Maximum
    1.08172
  • Mean of quarter 1
    0.97650
  • Mean of quarter 2
    1.00772
  • Mean of quarter 3
    1.02574
  • Mean of quarter 4
    1.06104
  • Inter Quartile Range
    0.04822
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64720
  • VaR(95%) (moments method)
    0.02491
  • Expected Shortfall (moments method)
    0.02811
  • Extreme Value Index (regression method)
    -0.24704
  • VaR(95%) (regression method)
    0.02652
  • Expected Shortfall (regression method)
    0.03250
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01132
  • Quartile 1
    0.02149
  • Median
    0.02520
  • Quartile 3
    0.03851
  • Maximum
    0.07748
  • Mean of quarter 1
    0.01132
  • Mean of quarter 2
    0.02489
  • Mean of quarter 3
    0.02552
  • Mean of quarter 4
    0.07748
  • Inter Quartile Range
    0.01702
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.07748
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24980
  • Compounded annual return (geometric extrapolation)
    0.22833
  • Calmar ratio (compounded annual return / max draw down)
    2.94709
  • Compounded annual return / average of 25% largest draw downs
    2.94709
  • Compounded annual return / Expected Shortfall lognormal
    4.28319
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19670
  • SD
    0.15673
  • Sharpe ratio (Glass type estimate)
    1.25502
  • Sharpe ratio (Hedges UMVUE)
    1.25306
  • df
    482.00000
  • t
    1.70401
  • p
    0.04451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69876
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76999
  • Upside Potential Ratio
    8.37282
  • Upside part of mean
    0.93046
  • Downside part of mean
    -0.73376
  • Upside SD
    0.11095
  • Downside SD
    0.11113
  • N nonnegative terms
    255.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    483.00000
  • Mean of predictor
    0.23182
  • Mean of criterion
    0.19670
  • SD of predictor
    0.26676
  • SD of criterion
    0.15673
  • Covariance
    0.01130
  • r
    0.27037
  • b (slope, estimate of beta)
    0.15885
  • a (intercept, estimate of alpha)
    0.13500
  • Mean Square Error
    0.02282
  • DF error
    481.00000
  • t(b)
    6.15905
  • p(b)
    0.00000
  • t(a)
    1.43500
  • p(a)
    0.07597
  • Lowerbound of 95% confidence interval for beta
    0.10817
  • Upperbound of 95% confidence interval for beta
    0.20953
  • Lowerbound of 95% confidence interval for alpha
    -0.05904
  • Upperbound of 95% confidence interval for alpha
    0.37878
  • Treynor index (mean / b)
    1.23825
  • Jensen alpha (a)
    0.15987
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18429
  • SD
    0.15739
  • Sharpe ratio (Glass type estimate)
    1.17089
  • Sharpe ratio (Hedges UMVUE)
    1.16907
  • df
    482.00000
  • t
    1.58979
  • p
    0.05627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61448
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62951
  • Upside Potential Ratio
    8.17287
  • Upside part of mean
    0.92429
  • Downside part of mean
    -0.74000
  • Upside SD
    0.10982
  • Downside SD
    0.11309
  • N nonnegative terms
    255.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    483.00000
  • Mean of predictor
    0.19591
  • Mean of criterion
    0.18429
  • SD of predictor
    0.26859
  • SD of criterion
    0.15739
  • Covariance
    0.01167
  • r
    0.27603
  • b (slope, estimate of beta)
    0.16175
  • a (intercept, estimate of alpha)
    0.15260
  • Mean Square Error
    0.02293
  • DF error
    481.00000
  • t(b)
    6.29861
  • p(b)
    0.00000
  • t(a)
    1.36682
  • p(a)
    0.08616
  • Lowerbound of 95% confidence interval for beta
    0.11129
  • Upperbound of 95% confidence interval for beta
    0.21221
  • Lowerbound of 95% confidence interval for alpha
    -0.06677
  • Upperbound of 95% confidence interval for alpha
    0.37197
  • Treynor index (mean / b)
    1.13930
  • Jensen alpha (a)
    0.15260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01517
  • Expected Shortfall on VaR
    0.01916
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00611
  • Expected Shortfall on VaR
    0.01299
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    483.00000
  • Minimum
    0.92628
  • Quartile 1
    0.99701
  • Median
    1.00036
  • Quartile 3
    1.00539
  • Maximum
    1.05100
  • Mean of quarter 1
    0.99015
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00279
  • Mean of quarter 4
    1.01160
  • Inter Quartile Range
    0.00838
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03934
  • Mean of outliers low
    0.97332
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.03106
  • Mean of outliers high
    1.02541
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40281
  • VaR(95%) (moments method)
    0.00936
  • Expected Shortfall (moments method)
    0.01838
  • Extreme Value Index (regression method)
    0.32567
  • VaR(95%) (regression method)
    0.00940
  • Expected Shortfall (regression method)
    0.01698
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00546
  • Median
    0.01123
  • Quartile 3
    0.03383
  • Maximum
    0.15326
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.00795
  • Mean of quarter 3
    0.02466
  • Mean of quarter 4
    0.07371
  • Inter Quartile Range
    0.02838
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    0.15326
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31832
  • VaR(95%) (moments method)
    0.07170
  • Expected Shortfall (moments method)
    0.08582
  • Extreme Value Index (regression method)
    0.05800
  • VaR(95%) (regression method)
    0.08486
  • Expected Shortfall (regression method)
    0.11863
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25968
  • Compounded annual return (geometric extrapolation)
    0.23639
  • Calmar ratio (compounded annual return / max draw down)
    1.54240
  • Compounded annual return / average of 25% largest draw downs
    3.20718
  • Compounded annual return / Expected Shortfall lognormal
    12.33680
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39419
  • SD
    0.11853
  • Sharpe ratio (Glass type estimate)
    3.32577
  • Sharpe ratio (Hedges UMVUE)
    3.30654
  • df
    130.00000
  • t
    2.35167
  • p
    0.39900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.12068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10734
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.69067
  • Upside Potential Ratio
    13.34290
  • Upside part of mean
    0.92426
  • Downside part of mean
    -0.53007
  • Upside SD
    0.09867
  • Downside SD
    0.06927
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25670
  • Mean of criterion
    0.39419
  • SD of predictor
    0.13311
  • SD of criterion
    0.11853
  • Covariance
    0.00591
  • r
    0.37470
  • b (slope, estimate of beta)
    0.33363
  • a (intercept, estimate of alpha)
    0.30855
  • Mean Square Error
    0.01217
  • DF error
    129.00000
  • t(b)
    4.59014
  • p(b)
    0.26717
  • t(a)
    1.96373
  • p(a)
    0.39207
  • Lowerbound of 95% confidence interval for beta
    0.18982
  • Upperbound of 95% confidence interval for beta
    0.47744
  • Lowerbound of 95% confidence interval for alpha
    -0.00233
  • Upperbound of 95% confidence interval for alpha
    0.61942
  • Treynor index (mean / b)
    1.18151
  • Jensen alpha (a)
    0.30855
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38691
  • SD
    0.11828
  • Sharpe ratio (Glass type estimate)
    3.27112
  • Sharpe ratio (Hedges UMVUE)
    3.25222
  • df
    130.00000
  • t
    2.31303
  • p
    0.40059
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.06509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.05207
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.55138
  • Upside Potential Ratio
    13.19070
  • Upside part of mean
    0.91934
  • Downside part of mean
    -0.53243
  • Upside SD
    0.09797
  • Downside SD
    0.06970
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24776
  • Mean of criterion
    0.38691
  • SD of predictor
    0.13319
  • SD of criterion
    0.11828
  • Covariance
    0.00590
  • r
    0.37430
  • b (slope, estimate of beta)
    0.33240
  • a (intercept, estimate of alpha)
    0.30456
  • Mean Square Error
    0.01212
  • DF error
    129.00000
  • t(b)
    4.58452
  • p(b)
    0.26740
  • t(a)
    1.94298
  • p(a)
    0.39316
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.18895
  • Upperbound of 95% confidence interval for beta
    0.47585
  • Lowerbound of 95% confidence interval for alpha
    -0.00557
  • Upperbound of 95% confidence interval for alpha
    0.61468
  • Treynor index (mean / b)
    1.16399
  • Jensen alpha (a)
    0.30456
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01049
  • Expected Shortfall on VaR
    0.01350
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.00838
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97964
  • Quartile 1
    0.99738
  • Median
    1.00093
  • Quartile 3
    1.00546
  • Maximum
    1.02301
  • Mean of quarter 1
    0.99288
  • Mean of quarter 2
    0.99946
  • Mean of quarter 3
    1.00360
  • Mean of quarter 4
    1.01056
  • Inter Quartile Range
    0.00808
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98157
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02068
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11767
  • VaR(95%) (moments method)
    0.00660
  • Expected Shortfall (moments method)
    0.00969
  • Extreme Value Index (regression method)
    0.09894
  • VaR(95%) (regression method)
    0.00652
  • Expected Shortfall (regression method)
    0.00941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00606
  • Median
    0.00884
  • Quartile 3
    0.02210
  • Maximum
    0.05382
  • Mean of quarter 1
    0.00389
  • Mean of quarter 2
    0.00745
  • Mean of quarter 3
    0.01573
  • Mean of quarter 4
    0.03470
  • Inter Quartile Range
    0.01604
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.05382
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.42390
  • VaR(95%) (moments method)
    0.04077
  • Expected Shortfall (moments method)
    0.04768
  • Extreme Value Index (regression method)
    1.12891
  • VaR(95%) (regression method)
    0.06037
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -306782000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46097
  • Compounded annual return (geometric extrapolation)
    0.51409
  • Calmar ratio (compounded annual return / max draw down)
    9.55285
  • Compounded annual return / average of 25% largest draw downs
    14.81460
  • Compounded annual return / Expected Shortfall lognormal
    38.07920

Strategy Description

Converted to trade E-minis on 5/19/21. This strategy will trade E-Minis (but predominately Micro E-Minis) in a manner suitable for an IRA, and will use the SPYPRED5 signal to determine next-day Market direction, and with trades being made generally in the after-hours once a new signal has been produced.

Prior to 5/19/21, this IRA had been devoted to trading stocks (e.g., with the SUPER08H strategy), along with the use of ETFs like SH, SDS, and SSO. This complicated hedging-based approach is now being replaced by a much simpler E-mini based strategy that relies on more accurate signals and more flexible trading hours.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-08-28
Suggested Minimum Capital
$100,000
# Trades
314
# Profitable
149
% Profitable
47.5%
Net Dividends
$3,399
Correlation S&P500
0.138
Sharpe Ratio
0.49
Sortino Ratio
0.71
Beta
0.07
Alpha
0.02
Leverage
1.07 Average
3.53 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.